Natural, pure henna is always red. The shade of red might vary depending on where it is grown, but it is always red. The henna with no colour is usually cassia, not henna. Cassia is great for hair but doesn't give colour. The henna that gives out different colours is never pure henna, but mixed with other plants or dyes. Here one should know which plants are used and what they do/how they react.

The most important thing in choosing henna is to make sure it is pure of chemicals. No metallic salts or paraphenylenediamine (PPD)!!! Metallic salts could melt your hair and PPD is pure poison.
Body art quality (BAQ) henna is a very good option.

I order my henna online or buy locally the brands that I know are good. Or when in Africa I get the "loose" henna from the market place. As I'm not in the States I don't know which brands they sell in the shops there. Maybe someone in the US can help you with that.
Good luck!